Browsing by Author "Nassiuma, Dankit K."
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Efficiency Evaluation When Modelling Nairobi Security Exchange Data Using Bilinear and Bilinear-Garch (Bl-Garch) Models
Wagala, Adolphus; Islam, Ali S.; Nassiuma, Dankit K. (2012-06)In this paper, the weekly returns of the Nairobi Securities Market (NSE) are modelled using bilinear models and the bilinear-GARCH models so as to determine the most efficient and adequate model for forecasting of ... -
Volatility Modelling of the Nairobi Securities Exchang
Wagala, Adolphus; Nassiuma, Dankit K.; Islam, Ali S.; Mwangi, Jesse W. (2012-03)In this paper we identify the most efficient ARCH-type model that can be applied to the Nairobi stock exchange data for forecasting and prediction of volatility which in turn is important in pricing financial derivative ...